/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. * */ using System; using QuantConnect.Data; using QuantConnect.Interfaces; using QuantConnect.Data.Market; using System.Collections.Generic; using QuantConnect.Data.Auxiliary; namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators { /// /// Event provider who will emit events /// public class MappingEventProvider : ITradableDateEventProvider { private IMapFileProvider _mapFileProvider; /// /// The associated configuration /// protected SubscriptionDataConfig Config { get; private set; } /// /// The current instance being used /// protected MapFile MapFile { get; private set; } /// /// Initializes this instance /// /// The /// The factor file provider to use /// The provider to use /// Start date for the data request public virtual void Initialize( SubscriptionDataConfig config, IFactorFileProvider factorFileProvider, IMapFileProvider mapFileProvider, DateTime startTime) { _mapFileProvider = mapFileProvider; Config = config; InitializeMapFile(); if (MapFile.HasData(startTime.Date)) { // initialize mapped symbol using request start date Config.MappedSymbol = MapFile.GetMappedSymbol(startTime.Date, Config.MappedSymbol, Config.DataMappingMode); } } /// /// Check for new mappings /// /// The new tradable day event arguments /// New mapping event if any public virtual IEnumerable GetEvents(NewTradableDateEventArgs eventArgs) { if (Config.Symbol == eventArgs.Symbol && MapFile.HasData(eventArgs.Date)) { var old = Config.MappedSymbol; var newSymbol = MapFile.GetMappedSymbol(eventArgs.Date, Config.MappedSymbol, Config.DataMappingMode); Config.MappedSymbol = newSymbol; // check to see if the symbol was remapped if (old != Config.MappedSymbol) { var changed = new SymbolChangedEvent( Config.Symbol, eventArgs.Date, old, Config.MappedSymbol); yield return changed; } } } /// /// Initializes the map file to use /// protected void InitializeMapFile() { MapFile = _mapFileProvider.ResolveMapFile(Config); } } }